For the first five months of the year, the SAC fund increased about 6 percent, according to CNBC, trailing the 14 percent surge by the S&P 500.

The underperformance is stark, given that what made Cohen a legend was the firm's compounded annual returns of more than 30 percent since it opened in 1992.

To be sure, five months — and certainly one month — don't offer much of a sample size. But the underperformance, combined with everything else, certainly makes for an outsized story of woe.

It could be that the firm's legal troubles and customer outflow have distracted fund managers, hurting their performance. But the down period also could owe simply to the normal vagaries of financial markets.

Of the $15 billion that SAC managed as of Jan. 1, about $8 billion belonged to Cohen, $1 billion to his employees and $6 billion to outsiders. Outside investors withdrew billions of dollars in assets by Monday's deadline for investors to pull some of their money out, someone familiar with the matter told CNBC. Outsiders withdrew $1.7 billion earlier this year.

The beleaguered Cohen has decided to stop cooperating with the government's investigation, and that may cost him.

"Cohen is taking a defiant stance that will make the government more determined to pursue charges and more difficult for Cohen to settle if the heats get too high," Erik Gordon, a business and law professor at the University of Michigan, told Bloomberg.